The martensitic transition sequence and microstructure evolution in a homogenized Fe–15Mn alloy under thermal cycling, involving a thermal body-centered cubic α′-martensite, hexagonal close-packed \(\upvarepsilon\) -martensite, and face-centered cubic γ-austenite, were characterized by neutron diffraction and transmission electron microscope. The \(\upvarepsilon\) \(\to\) α′ transition is observed for the first time during heating. Upon cooling, γ → \(\upvarepsilon\) and γ \(\to\) α′ transitions occur concomitantly. The transition rate of the γ \(\to\) \(\upvarepsilon\) is higher than that of the γ \(\to\) α′ in the early stage of the phase transition. The Fe–15Mn alloy exhibits a pronounced volume effect of phase transition (1.6% for \(\upvarepsilon\) → γ, 1.8% for α′ → γ, and 4.2% for \(\upvarepsilon\) → α′), which induces an obvious lattice mismatch. The sharp increase in the volume fraction of \(\upvarepsilon\) -martensite after thermal cycling is attributed to the formation of abundant stacking faults and the pre-existing α′-martensite within the alloy.